I do not get a message automatically, asking to add any new e-mail address to the SendGuard List.

You will not get a message if SendGuard is configured to NOT display a message to add e-mail address to SendGuard list. To configure SendGuard to display this message:

1.Go to Inbox - Addins4Outlook menu - SendGuard menu.
2.Click Settings. The SendGuard Settings screen will open.
3.On the Send Account tab, under "How to set Preferred Accounts", choose the option "Automatically display option to add address to list if I am using an address not in the list".